Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 6 | 6 | 5 |
| Score | -0.1 | 1.39 | -0.5 |
| Market Cap (Millions USD) | 164.05 | 144.03 | 133.64 |
| Predicted Beta | 0.33 | 0.33 | 0.33 |
| Idiosyncratic Volatility | 1.15 | 1.14 | 1.31 |
Annualized return and volatility
| EWN | |
|---|---|
| Annualized Return | 0.0375 |
| Annualized Std Dev | 0.2453 |
| Annualized Sharpe (Rf=0%) | 0.1527 |
Row
Daily Return Statistics
| EWN | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.1302 |
| Quartile 1 | -0.0067 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0076 |
| Maximum | 0.1437 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0155 |
| Skewness | -0.2127 |
| Kurtosis | 7.1152 |
Downside Risk
| EWN | |
|---|---|
| Semi Deviation | 0.0112 |
| Gain Deviation | 0.0109 |
| Loss Deviation | 0.0120 |
| Downside Deviation (MAR=210%) | 0.0157 |
| Downside Deviation (Rf=0%) | 0.0111 |
| Downside Deviation (0%) | 0.0111 |
| Maximum Drawdown | 0.6522 |
| Historical VaR (95%) | -0.0238 |
| Historical ES (95%) | -0.0373 |
| Modified VaR (95%) | -0.0239 |
| Modified ES (95%) | -0.0415 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-15 | 2009-03-09 | 2015-04-23 | -0.6522 | 1929 | 361 | 1568 |
| 2000-01-04 | 2003-03-12 | 2006-03-20 | -0.5975 | 1586 | 814 | 772 |
| 2018-01-29 | 2018-12-24 | 2019-11-05 | -0.2397 | 454 | 233 | 221 |
| 2015-05-18 | 2016-02-11 | 2017-03-09 | -0.1960 | 463 | 190 | 273 |
| 2006-05-11 | 2006-06-13 | 2006-08-29 | -0.1537 | 78 | 23 | 55 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | EWN | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 1.7 | 1.6 | 0.0 | 1.4 | -1.0 | 0.0 | -1.3 | 1.6 | 0.0 | -1.4 | 2.0 | 0.0 | 4.5 |
| 2001 | 1.2 | -0.7 | 0.0 | 1.6 | -0.5 | 0.0 | 0.7 | 0.0 | -2.8 | 1.5 | 0.0 | 0.0 | 1.0 |
| 2002 | 0.7 | 1.0 | 2.9 | -0.7 | 0.0 | 0.0 | -3.7 | 0.0 | 2.9 | 0.8 | 0.0 | 0.0 | 3.9 |
| 2003 | 0.0 | 0.0 | 3.5 | -0.4 | 0.0 | 0.1 | -0.4 | 0.0 | 3.1 | 0.0 | 1.0 | 0.0 | 6.9 |
| 2004 | 0.0 | 0.9 | 1.6 | 0.0 | -0.7 | -0.5 | 0.0 | 0.8 | 1.7 | -0.7 | 1.5 | 0.0 | 4.7 |
| 2005 | 1.4 | -0.2 | -1.4 | 0.0 | 0.8 | -0.3 | 1.2 | 0.7 | 0.0 | 1.1 | 1.7 | 0.0 | 4.9 |
| 2006 | 0.7 | 0.7 | 0.0 | -0.9 | 0.4 | 0.0 | -0.8 | 0.5 | 0.0 | -0.6 | -0.5 | 0.0 | -0.5 |
| 2007 | 0.9 | -1.7 | 0.0 | 0.1 | -0.3 | 0.0 | 0.7 | 0.0 | 1.6 | -1.7 | 0.0 | 0.0 | -0.6 |
| 2008 | 1.6 | 0.0 | 2.5 | 1.1 | 0.0 | -0.7 | -1.0 | 0.0 | 0.2 | 0.0 | -8.4 | 0.0 | -5.1 |
| 2009 | 0.0 | 0.0 | 2.2 | 1.2 | 1.8 | 1.8 | 0.0 | -2.8 | -2.9 | 0.0 | 3.0 | 0.0 | 4.2 |
| 2010 | 2.3 | 1.5 | 2.7 | 0.0 | -1.2 | 2.2 | 0.0 | 3.7 | 0.8 | -0.4 | 3.9 | 0.0 | 16.4 |
| 2011 | 2.7 | -0.8 | 0.7 | 0.0 | -2.3 | 1.3 | -1.2 | -1.7 | 0.0 | -4.6 | -1.7 | 0.0 | -7.6 |
| 2012 | 2.3 | 1.1 | 0.0 | 0.3 | -2.7 | 0.0 | -0.1 | 0.0 | 0.8 | 1.3 | 0.0 | 0.0 | 2.9 |
| 2013 | 1.7 | -0.6 | -0.8 | -0.6 | 0.0 | 1.0 | 1.3 | 0.0 | 1.1 | -0.6 | 0.0 | 0.0 | 2.5 |
| 2014 | 0.0 | 0.0 | 0.8 | 0.1 | 0.0 | 0.5 | -0.4 | 0.0 | -1.2 | 0.0 | 0.1 | 0.0 | -0.1 |
| 2015 | 0.0 | 0.0 | 0.6 | 1.0 | -0.7 | 1.1 | 0.0 | -2.6 | -0.6 | 0.0 | 0.2 | 0.0 | -1.0 |
| 2016 | 0.1 | 3.5 | -0.4 | 0.0 | 0.5 | -0.2 | -0.9 | 0.7 | 0.0 | -0.5 | -1.0 | 0.0 | 1.8 |
| 2017 | 0.1 | 1.3 | 0.0 | 0.6 | 0.8 | 0.0 | 0.3 | 0.1 | 0.0 | -0.1 | -0.5 | 0.0 | 2.6 |
| 2018 | 0.4 | -1.0 | 0.0 | -0.5 | 1.0 | 0.0 | -0.2 | 0.0 | 0.2 | 2.8 | 0.0 | 0.0 | 2.7 |
| 2019 | 0.4 | 0.5 | 1.3 | -0.7 | 0.0 | 0.8 | -0.1 | 0.0 | -0.7 | 1.1 | 0.0 | -0.2 | 2.3 |
Row
Rolling Performance Chart
Snail Trail Chart
